Lehman to price 0% performance securities linked to three indexes

By Angela McDaniels

Seattle, Aug. 27 - Lehman Brothers Holdings Inc. plans to price 0% performance securities with partial protection due Sept. 30, 2010 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket will include the S&P 500 index with a 33.34% weight, the Dow Jones Euro Stoxx 50 index with a 33.33% weight and the Nikkei 225 index with a 33.33% weight.

The payout at maturity will be par of $10 plus any basket gain multiplied by the participation rate, which will be 108% to 118%, with the exact level to be determined at pricing. Investors will receive par if the basket declines by 20% or less, and will lose 1% for each 1% decline beyond 20%.

The securities will price on Sept. 25 and settle on Sept. 28.

UBS Financial Services Inc. and Lehman Brothers Inc. will be the underwriters.

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